Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

DOI10.1111/J.1467-9892.2007.00558.XzbMATH Open1164.62058OpenAlexW2150142666MaRDI QIDQ3608200FDOQ3608200

Authors: Carsten Trenkler, Pentti Saikkonen, Helmut Lütkepohl 

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/6306

Recommendations

• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Testing for the cointegrating rank of a VAR process with a time trend
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift

zbMATH Keywords

error correction model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Cites Work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Applied Time Series Econometrics
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING

Cited In (11)

• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Johansen‐type cointegration tests with a Fourier function
• Testing for the cointegration rank when some cointegrating directions are changing
• Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
• Quasi-likelihood ratio tests for cointegration, cobreaking, and cotrending
• Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• The cointegrated vector autoregressive model with general deterministic terms
• Cointegration analysis in the presence of structural breaks in the deterministic trend
• Comparison of tests for the cointegrating rank of a VAR process with a structural shift
• Testing for the cointegrating rank of a VAR process with a time trend

Uses Software

• JMulTi

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